Mortality modelling
Crunching mortality using stochastic models
Collaborators: Pavel V. Shevchenko, Uwe Schmock, Gareth W. Peters, Mario V. Wüthrich, J. Hirz, Man Chung Fung, Dorota Toczydlowska, Philippe Deprez
Publications
- Dorota Toczydlowska, Gareth W. Peters, Man Chung Fung, Pavel V. Shevchenko (2017).Stochastic period and cohort effect state-space mortality models incorporating demographic factors via probabilistic robust principal components. Risks 5, 42:1-42:77; doi:10.3390/risks5030042. Preprint https://ssrn.com/abstract=2977306.
- Philippe Deprez, Pavel V. Shevchenko and Mario V. Wüthrich (2017). Machine learning techniques for mortality modeling. European Actuarial Journal. DOI 10.1007/s13385-017-0152-4, Preprint https://ssrn.com/abstract=2921841.
- J. Hirz, U. Schmock and P.V. Shevchenko (2017). Actuarial Applications and Estimation of extended CreditRisk+. Risks 5 (2), 23:1-23:29, doi:10.3390/risks5020023. Preprint, http://arxiv.org/abs/1505.04757
- M. C. Fung, G.W. Peters and P.V. Shevchenko (2017). A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting. Annals of Actuarial Science. DOI: 10.1017/S1748499517000069. Preprint, https://ssrn.com/abstract=2786559
- J. Hirz, U. Schmock and P. Shevchenko (2017). Crunching mortality and life insurance portfolios with extended CreditRisk+. Risk Magazine, January 2017, pages 98-103. Preprint, http://ssrn.com/abstract=2717518